A note on uniqueness of parameter identification in a jump diffusion model
In this note, we consider an inverse problem in a jump diffusion model. Using characteristic functions we prove the injectivity of the forward operator mapping the five parameters determining the model to the density function of the return distribution.
Main Authors: | , , |
---|---|
Language: | English |
Published: |
Technische Universität Chemnitz
2005
|
Subjects: | |
Online Access: | http://nbn-resolving.de/urn:nbn:de:swb:ch1-200501325 https://monarch.qucosa.de/id/qucosa%3A18380 https://monarch.qucosa.de/api/qucosa%3A18380/attachment/ATT-0/ https://monarch.qucosa.de/api/qucosa%3A18380/attachment/ATT-1/ |